Default and devaluation risks in Argentina: long-run and exogeneity in different systems

Autores
Ahumada, Hildegart; Garegnani, María Lorena
Año de publicación
2000
Idioma
inglés
Tipo de recurso
documento de conferencia
Estado
versión publicada
Descripción
This study analyses the effect of devaluation risk on the default risk of Argentina, a critical question for the “dollarization debate”. The integrated nature of both series is taken into account to analyse the long run relationship and to evaluate “weak exogeneity” using a “cointegrating vector” system approach. First a bivariate system is considered and then the default risk in the region and indicators of macroeconomic performance are included. The results show that only devaluation risk adjusts to reach the equilibrium with the default risk. Once this risk is free from the effect of Latin American default risk, the solvency of the government (measured as the ratio of government debt to GDP) is the only factor that can be detected in the long run. Conclusions about weak exogeneity do not change when the information set is expanded.
Facultad de Ciencias Económicas
Materia
Ciencias Económicas
devaluation risk
default risk
Nivel de accesibilidad
acceso abierto
Condiciones de uso
http://creativecommons.org/licenses/by-nc-sa/4.0/
Repositorio
SEDICI (UNLP)
Institución
Universidad Nacional de La Plata
OAI Identificador
oai:sedici.unlp.edu.ar:10915/170381
Acceder
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oai_identifier_str oai:sedici.unlp.edu.ar:10915/170381
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network_name_str SEDICI (UNLP)
spelling Default and devaluation risks in Argentina: long-run and exogeneity in different systemsAhumada, HildegartGaregnani, María LorenaCiencias Económicasdevaluation riskdefault riskThis study analyses the effect of devaluation risk on the default risk of Argentina, a critical question for the “dollarization debate”. The integrated nature of both series is taken into account to analyse the long run relationship and to evaluate “weak exogeneity” using a “cointegrating vector” system approach. First a bivariate system is considered and then the default risk in the region and indicators of macroeconomic performance are included. The results show that only devaluation risk adjusts to reach the equilibrium with the default risk. Once this risk is free from the effect of Latin American default risk, the solvency of the government (measured as the ratio of government debt to GDP) is the only factor that can be detected in the long run. Conclusions about weak exogeneity do not change when the information set is expanded.Facultad de Ciencias Económicas2000info:eu-repo/semantics/conferenceObjectinfo:eu-repo/semantics/publishedVersionObjeto de conferenciahttp://purl.org/coar/resource_type/c_5794info:ar-repo/semantics/documentoDeConferenciaapplication/pdfhttp://sedici.unlp.edu.ar/handle/10915/170381enginfo:eu-repo/semantics/altIdentifier/url/https://bd.aaep.org.ar/anales/works/works2000/ahumada_garegnani.pdfinfo:eu-repo/semantics/openAccesshttp://creativecommons.org/licenses/by-nc-sa/4.0/Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International (CC BY-NC-SA 4.0)reponame:SEDICI (UNLP)instname:Universidad Nacional de La Platainstacron:UNLP2025-10-22T17:24:15Zoai:sedici.unlp.edu.ar:10915/170381Institucionalhttp://sedici.unlp.edu.ar/Universidad públicaNo correspondehttp://sedici.unlp.edu.ar/oai/snrdalira@sedici.unlp.edu.arArgentinaNo correspondeNo correspondeNo correspondeopendoar:13292025-10-22 17:24:15.74SEDICI (UNLP) - Universidad Nacional de La Platafalse
dc.title.none.fl_str_mv Default and devaluation risks in Argentina: long-run and exogeneity in different systems
title Default and devaluation risks in Argentina: long-run and exogeneity in different systems
spellingShingle Default and devaluation risks in Argentina: long-run and exogeneity in different systems
Ahumada, Hildegart
Ciencias Económicas
devaluation risk
default risk
title_short Default and devaluation risks in Argentina: long-run and exogeneity in different systems
title_full Default and devaluation risks in Argentina: long-run and exogeneity in different systems
title_fullStr Default and devaluation risks in Argentina: long-run and exogeneity in different systems
title_full_unstemmed Default and devaluation risks in Argentina: long-run and exogeneity in different systems
title_sort Default and devaluation risks in Argentina: long-run and exogeneity in different systems
dc.creator.none.fl_str_mv Ahumada, Hildegart
Garegnani, María Lorena
author Ahumada, Hildegart
author_facet Ahumada, Hildegart
Garegnani, María Lorena
author_role author
author2 Garegnani, María Lorena
author2_role author
dc.subject.none.fl_str_mv Ciencias Económicas
devaluation risk
default risk
topic Ciencias Económicas
devaluation risk
default risk
dc.description.none.fl_txt_mv This study analyses the effect of devaluation risk on the default risk of Argentina, a critical question for the “dollarization debate”. The integrated nature of both series is taken into account to analyse the long run relationship and to evaluate “weak exogeneity” using a “cointegrating vector” system approach. First a bivariate system is considered and then the default risk in the region and indicators of macroeconomic performance are included. The results show that only devaluation risk adjusts to reach the equilibrium with the default risk. Once this risk is free from the effect of Latin American default risk, the solvency of the government (measured as the ratio of government debt to GDP) is the only factor that can be detected in the long run. Conclusions about weak exogeneity do not change when the information set is expanded.
Facultad de Ciencias Económicas
description This study analyses the effect of devaluation risk on the default risk of Argentina, a critical question for the “dollarization debate”. The integrated nature of both series is taken into account to analyse the long run relationship and to evaluate “weak exogeneity” using a “cointegrating vector” system approach. First a bivariate system is considered and then the default risk in the region and indicators of macroeconomic performance are included. The results show that only devaluation risk adjusts to reach the equilibrium with the default risk. Once this risk is free from the effect of Latin American default risk, the solvency of the government (measured as the ratio of government debt to GDP) is the only factor that can be detected in the long run. Conclusions about weak exogeneity do not change when the information set is expanded.
publishDate 2000
dc.date.none.fl_str_mv 2000
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info:eu-repo/semantics/publishedVersion
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status_str publishedVersion
dc.identifier.none.fl_str_mv http://sedici.unlp.edu.ar/handle/10915/170381
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dc.language.none.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv info:eu-repo/semantics/altIdentifier/url/https://bd.aaep.org.ar/anales/works/works2000/ahumada_garegnani.pdf
dc.rights.none.fl_str_mv info:eu-repo/semantics/openAccess
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Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International (CC BY-NC-SA 4.0)
eu_rights_str_mv openAccess
rights_invalid_str_mv http://creativecommons.org/licenses/by-nc-sa/4.0/
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repository.name.fl_str_mv SEDICI (UNLP) - Universidad Nacional de La Plata
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